By Mark Morgan
You're trying to change the title of a Bound URL page by changing the message's subject, that's why. You can't. This is because out of all the page types, the Bound URL page type is the only one that's associated with one and only one message number at the site structure level. So you are expecting the message to control the title of the page, and it doesn't.
Content management systems in general separate the structure of the site from its content. By "structure" what we mean is the organization of the content into folders and subfolders. This organization is reflected in the URL of each page, which goes siteurl/somefolder/somesubfolder/somepagetitle. This allows a lot of flexibility, so you can use one message in a bunch of different places with a bunch of different names, depending on the context.
So, except for the message page type, changing the subject of the message therefore does not change its page title as displayed by the <!--#pagetitle--> macro. Instead, the page title is stored in the structure editor for that page, at siteurl/conversationname/admin/conversations/conversationname/structure. The message page type is not reflected in the site structure, but all the other page types are.
Go to the page's location in the structure editor, and change the "Page Title" and "Navigation Title" to the new name you want the page to have. Now the page title will change.